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Fundamental Review of the Trading Book (FRTB) - Profit and Loss Attribution (PLA) Analytics

With the FRTB deadline rapidly approaching, many banks are struggling to efficiently prepare for all the necessary requirements.

Credit Risk Modelling of Low Default Portfolios: Part III - Parametric approaches for PD calibration

In the third part of low default portfolios series, the focus is on different parametric approaches for PD calibration.